This command in step 5 is incorrect, the etfsboot.com file is in C:\WinPE_x86\ISO\boot if you follow the rest of the instructions here, so the command should be:
Oscdimg -n -bC:\WinPE_x86\ISO\boot\etfsboot.com c:\winpe_x86\ISO c:\winpe_x86\winpe_x86.iso